Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0552
Annualized Std Dev 0.2077
Annualized Sharpe (Rf=0%) 0.2659

Row

Daily Return Statistics

Close
Observations 5235.0000
NAs 1.0000
Minimum -0.1179
Quartile 1 -0.0051
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0062
Maximum 0.1231
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0131
Skewness 0.0258
Kurtosis 8.7665

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0094
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.6683
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0315
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0257
From Trough To Depth Length To Trough Recovery
2000-07-18 2009-03-09 2014-07-03 -0.6683 3512 2172 1340
2020-02-20 2020-03-23 2020-06-10 -0.3155 78 23 55
2018-10-02 2018-12-24 2019-04-23 -0.2212 139 58 81
2015-07-21 2016-02-11 2016-07-14 -0.1445 249 143 106
2020-09-03 2020-09-23 2020-12-04 -0.1150 65 14 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 1 1.6 0.5 0.1 -2.2 -0.1 1.9 -1.9 0.8
2001 -0.4 0.4 1 2.2 1.4 1 0.6 0 -0.2 2.3 -0.4 -1.5 6.5
2002 -0.3 2.6 -0.2 0.7 -0.6 -2.5 -3.6 -0.7 3.2 1.9 -0.7 -0.1 -0.4
2003 0.7 0.6 1.6 0 1.5 1 -1 0.5 2.2 -0.4 1.4 0.4 8.8
2004 -0.2 1 0.5 -0.8 -0.2 -1.3 0.7 0.6 1.7 0 1.4 0.2 3.7
2005 0.4 0.7 -0.7 0.9 0.7 0.4 0 -0.5 0.5 0 1.3 -0.8 2.9
2006 1 1 0 -0.7 1.2 0.3 -0.8 0.8 -0.3 -0.9 -0.3 -0.5 0.9
2007 0.6 -0.4 0.1 0.3 0.4 -0.3 0.5 0.9 0.9 -1.9 0.2 -1 0.3
2008 1.5 -2.4 3.3 1.6 0.3 0.4 -0.7 -1.4 -2.1 2.3 -8.1 1.4 -4.4
2009 -2.5 -1.3 1.9 0.8 3.3 0.6 0 -1.8 -2.2 -2.3 1.2 -1 -3.3
2010 1.4 1.2 0.5 -1.6 -1.1 -0.1 0.1 3 0.4 0.1 2.1 -0.1 5.8
2011 1.6 -1.6 0.4 0.2 -2.1 1.5 -0.5 -1 -2.5 -2.4 0.2 -0.4 -6.6
2012 0.9 0.6 0.2 0.3 -2.6 2.7 -0.3 0.9 0.3 1.4 -0.1 1.9 6.3
2013 1 0.3 -0.6 -0.8 -1.2 1 1.3 -0.4 0.9 0.2 0.1 0.4 2.2
2014 -0.5 0.1 1.1 0.1 0.2 0.9 -0.3 0.2 -1.4 1.1 -1.1 -0.9 -0.7
2015 -1.1 -0.4 -0.4 1.1 0.3 0.9 0.1 -2.8 0.5 -0.4 0.9 -1.1 -2.4
2016 0.4 2.6 0.8 -0.5 0.1 0.3 0.3 0.2 0.6 -0.7 -0.9 -0.6 2.5
2017 0.2 1.3 -0.1 0.4 0.8 0.2 0.2 0.1 0.4 -0.1 -0.4 -0.5 2.7
2018 -0.3 -1.4 1.6 0.6 1.2 0.2 0.4 0.1 0.2 1.3 0.8 1 5.8
2019 -0.1 0.8 1.1 -0.7 -1.3 1.2 -0.5 -0.2 -1 0.8 -0.4 0.2 -0.1
2020 -1.8 0.1 -4.3 -2.6 0.6 1.4 1.6 1.6 1.3 -2.3 1 0.2 -3.4
2021 2.1 2.7 0.3 NA NA NA NA NA NA NA NA NA 5.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart